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patchtst-cross-sectional-return-forecast

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patchtst-cross-sectional-return-forecast
File size: 1,068 Bytes
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{
  "validation": {
    "loss": 40.24222278594971,
    "mae": 3.3909754753112793,
    "mse": 15.027800559997559,
    "directional_accuracy": 0.5080167271784233,
    "flattened_ic": 0.002849485427271254,
    "cross_sectional_ic": 0.008907554652154311,
    "cross_sectional_rank_ic": 0.008295830343493587
  },
  "test": {
    "loss": 38.46169090270996,
    "mae": 3.328381299972534,
    "mse": 14.407476425170898,
    "directional_accuracy": 0.534091938405797,
    "flattened_ic": 0.00037866420310066716,
    "cross_sectional_ic": 0.00456014569165105,
    "cross_sectional_rank_ic": 0.009876399072214697
  },
  "best_validation_loss": 40.24222278594971,
  "num_train_windows": 2249,
  "num_validation_windows": 482,
  "num_test_windows": 483,
  "num_return_steps": 3789,
  "selected_tickers": [
    "AAPL",
    "MSFT",
    "AMZN",
    "GOOGL",
    "NVDA",
    "TSLA",
    "AMD",
    "INTC",
    "ADBE",
    "ORCL",
    "CSCO",
    "IBM",
    "JPM",
    "BAC",
    "V",
    "MA",
    "AXP",
    "JNJ",
    "PG",
    "KO"
  ],
  "data_source": "siddharthmb/stocks-ohlcv"
}